Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0369
Annualized Std Dev 0.2928
Annualized Sharpe (Rf=0%) -0.1260

Row

Daily Return Statistics

Close
Observations 3624.0000
NAs 1.0000
Minimum -0.1320
Quartile 1 -0.0060
Median 0.0009
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0072
Maximum 0.1838
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0184
Skewness -0.2486
Kurtosis 12.9489

Downside Risk

Close
Semi Deviation 0.0136
Gain Deviation 0.0135
Loss Deviation 0.0160
Downside Deviation (MAR=210%) 0.0178
Downside Deviation (Rf=0%) 0.0136
Downside Deviation (0%) 0.0136
Maximum Drawdown 0.8708
Historical VaR (95%) -0.0276
Historical ES (95%) -0.0478
Modified VaR (95%) -0.0268
Modified ES (95%) -0.0362
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.8708 3474 444 NA
2007-02-23 2007-03-05 2007-04-17 -0.0783 37 7 30
2007-01-04 2007-01-22 2007-02-01 -0.0213 20 12 8
2006-11-01 2006-11-02 2006-11-08 -0.0211 6 2 4
2006-11-24 2006-11-27 2006-12-04 -0.0199 7 2 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA -1.8 -0.6 -0.6 -2.9
2007 1.1 -0.3 -0.6 0.1 0.8 -0.9 -1.7 1.4 1.3 -3.7 1.2 -1.7 -3
2008 2.7 -3.1 1.6 3 0 -1.9 -1 -1.1 -2.8 2 -13.2 6.7 -8
2009 -5.5 -2.7 4.8 4.2 3.3 1.8 0.1 -4.5 -3.6 -3.4 1.5 -0.7 -5.3
2010 1.3 0.9 1.2 -1.3 -1.7 1 -0.5 3.8 0.8 -0.4 2.7 0.4 8.4
2011 2.1 -1.7 0.5 0.4 -2.3 1.5 -0.2 -1.9 -3.1 -4.8 0.1 0.4 -8.7
2012 1.6 0.7 0.4 0.5 -1.9 3.2 -0.2 0.8 0.5 1.3 0.8 2.1 10.2
2013 0.6 -0.2 -0.8 -1.1 -1.6 0.6 0.8 -0.6 1 -0.7 0.6 0.7 -0.7
2014 -2.1 1.1 0.5 0.2 -0.2 0.5 -0.7 0 -1.3 1.1 -1.1 -0.3 -2.3
2015 -1 -0.3 0.8 0.4 0 0.4 0.3 -3 0.8 -0.1 0.2 -0.4 -1.8
2016 0.5 2.5 0.4 -0.3 0.1 0.7 -0.8 0.8 0.5 -0.6 0.6 0.5 5.1
2017 0.6 1 0.3 0.2 1.4 0.3 0.3 0.3 0.7 -0.5 -0.2 0.1 4.7
2018 0.7 -1 0.4 -0.8 1.2 1.4 -0.2 -0.3 0.3 2.1 -0.8 -0.5 2.4
2019 0.3 0.3 1.3 -0.5 -1.4 0.7 -0.8 0.3 -1.6 1.2 -0.4 0.6 -0.2
2020 -0.6 -1.4 -4.4 -3.4 2.1 0.5 -0.7 0.1 1.6 -0.1 2.6 0.1 -3.9
2021 2.4 2.5 0.3 NA NA NA NA NA NA NA NA NA 5.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart